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Revisited multi-moment approximate option pricing models: a general comparison (Part 1)

Jurczenko, Emmanuel; Maillet, Bertrand; Negrea, Bogdan - London School of Economics (LSE) - 2002

these models the analytical expressions of implied probability densities, implied volatility smile functions and several …

Persistent link: https://www.econbiz.de/10010745304

Uncertainty and leveraged Lucas Trees: the cross section of equilibrium volatility risk premia

Vedolin, Andrea - London School of Economics (LSE) - 2012

Volatility risk premia compensate agents for holding assets whose payoffs correlate with times of high return variation …. This paper takes a structural approach to explain the cross-section of volatility risk premia of stocks using a Lucas … uncertainty, namely (i) agents’ disagreement and (ii) time-varying volatility of fundamental growth rates. The paper shows that …

Persistent link: https://www.econbiz.de/10010745732

Skewness and kurtosis implied by option prices: a second comment

Jurczenko, Emmanuel; Maillet, Bertrand; Negrea, Bogdan - London School of Economics (LSE) - 2002

Several authors have proposed series expansion methods to price options when the risk-neutral density is asymmetric and leptokurtic. Among these, Corrado and Su (1996) provide an intuitive pricing formula based on a Gram-Charlier Type A series expansion. However, their formula contains a...

Persistent link: https://www.econbiz.de/10011071378

Estimating semiparametric ARCH (8) models by kernel smoothing methods

Linton, Oliver; Mammen, Enno - London School of Economics (LSE) - 2003

We investigate a class of semiparametric ARCH(∞) models that includes as a special case the partially nonparametric (PNP) model introduced by Engle and Ng (1993) and which allows for both flexible dynamics and flexible function form with regard to the 'news impact' function. We propose an...

Persistent link: https://www.econbiz.de/10011071447

Constrained indirect inference estimation

Calzorali, Giorgio; Fiorentini, Gabriele; Sentana, Enrique - London School of Economics (LSE) - 2001

) through MA(1), and stochastic volatility through GARCH with Gaussian or t distributed errors. …

Persistent link: https://www.econbiz.de/10010745065

Loan securitisation: default term structure and asset pricing based on loss prioritisation

Jobst, Andreas A. - London School of Economics (LSE) - 2002

Ambivalence in the regulatory definition of capital adequacy for credit risk has recently stirred the financial services industry to collateral loan obligations (CLOs) as an important balance sheet management tool. CLOs represent a specialised form of Asset-Backed Securitisation (ABS), with...

Persistent link: https://www.econbiz.de/10010745131

Option hedging for small investors under liquidity costs

Soner, H. Mete; Cetin, Umut; Touzi, Nizar - London School of Economics (LSE) - 2010

Following the framework of Cetin et al. (finance stoch. 8:311-341, 2004), we study the problem of super-replication in the presence of liquidity costs under additional restrictions on the gamma of the hedging strategies in a generalized black-scholes economy. We find that the minimal...

Persistent link: https://www.econbiz.de/10010745343

Are there Monday effects in stock returns: a stochastic dominance approach

Cho, Young-Hyun; Linton, Oliver; Whang, Yoon-Jae - London School of Economics (LSE) - 2006

We provide a test of the Monday effect in daily stock index returns. Unlike previous studies we define the Monday effect based on the stochastic dominance criterion. This is a stronger criterion than those based on comparing means used in previous work and has a well defined economic meaning. We...

Persistent link: https://www.econbiz.de/10010746600

Environmental economics and modeling marketable permits

Taschini, Luca - London School of Economics (LSE) - 2010

This paper reviews fundamental concepts in environmental economics and explores theoretical results regarding the choice of the key policy instruments for the control of externalities: taxes, subsidies and marketable permits. The paper explains why today market mechanisms are increasingly being...

Persistent link: https://www.econbiz.de/10010746619

A comparison of reduced-form permit price models and their empirical performances

Grüll, Georg; Taschini, Luca - London School of Economics (LSE) - 2010

Equilibrium models have been proposed in literature with the aim of describing the evolution of the price of emission permits. This paper derives first a reducedform model from an equilibrium model and thereby explains how existing reducedform models are related to equilibrium models. Second, by...

Persistent link: https://www.econbiz.de/10011071177